Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286): Difference between revisions
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Revision as of 08:56, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models |
scientific article |
Statements
Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (English)
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20 June 2012
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delta hedging
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jump-diffusions
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Malliavin calculus
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robustness
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stochastic volatility
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